TTD Options History — January 2021

In January 2021, TTD traded between $74.11 and $81.54. ATM implied volatility averaged 63.3%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 8.4% (HV 20d: 54.9%). Max pain ranged from $79.00 to $91.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.55.

Notable Days

2021-01-08: Highest Volume — 340,620 contracts
2021-01-12: Largest IV spike — 10.5% change
2021-01-27: Highest IV Rank — 37.2%
2021-01-29: Largest Expected Move — 21.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.48	$74.11	$81.54	$77.36	$76.70
Max Pain	$81.95	$79.00	$91.00	$91.00	$79.00
ATM IV	63.3%	52.0%	75.2%	56.6%	74.5%
Expected Move	18.8%	17.4%	21.6%	18.0%	21.6%
HV 20d	54.9%	43.8%	59.6%	50.1%	51.1%
HV 60d	75.8%	73.6%	77.3%	75.8%	74.1%
IV Rank	25.2%	13.0%	37.2%	18.8%	36.3%
IV Percentile	45.8%	19.4%	73.4%	29.4%	71.0%
Term Structure	0.7%	-4.6%	5.4%	2.0%	-4.0%
VWIV	65.2%	59.1%	76.6%	62.2%	76.6%
Skew 25d	4.9%	-0.1%	9.0%	3.9%	8.3%
Skew 10d	7.4%	-0.6%	16.7%	2.2%	16.7%
Call IV 25d	59.7%	49.5%	70.5%	53.7%	70.5%
Put IV 25d	64.6%	53.3%	78.7%	57.6%	78.7%
Bid-Ask Spread %	51.68	41.66	61.56	41.66	55.00
Gamma HHI	0.04	0.03	0.11	0.03	0.04
Net GEX	9.2M	-13.7M	46.6M	-3.5M	-13.7M
Net DEX	-853.3M	-1.63B	-115.9M	-795.1M	-268.9M
Net VEX	-5.4M	-6.0M	-4.4M	-4.6M	-5.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.17	0.96	0.92	0.81
Total Volume	153,081.579	73,460	340,620	164,200	105,170
Total OI	862,893.158	624,670	1,055,800	820,830	849,900

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$77.36	$91.00	56.6%	18.0%	50.1%	18.8%	62.2%	3.9%	2.0%	-3.5M	-795.1M	-4.6M	0.92	41.66	N/A	N/A	85,690	78,510	421,790	399,040
2021-01-05	$78.74	$90.00	52.0%	17.4%	50.0%	13.0%	60.2%	4.4%	4.0%	4.1M	-991.9M	-4.8M	0.52	45.92	N/A	N/A	55,270	28,850	451,310	425,130
2021-01-06	$74.11	$90.00	52.9%	17.4%	53.1%	14.1%	59.1%	3.3%	4.1%	-9.9M	-499.7M	-4.4M	0.71	50.95	N/A	N/A	81,150	57,650	468,640	430,180
2021-01-07	$75.65	$87.50	54.8%	17.8%	54.1%	16.4%	61.3%	6.5%	5.4%	-5.9M	-654.7M	-4.6M	0.58	50.12	N/A	N/A	92,930	53,890	487,430	443,560
2021-01-08	$79.72	$81.00	57.8%	18.2%	57.8%	20.3%	63.4%	2.0%	4.0%	26.3M	-1.39B	-5.3M	0.26	49.48	N/A	N/A	271,340	69,280	522,550	460,530
2021-01-11	$78.26	$80.50	59.1%	18.2%	56.0%	21.9%	62.8%	3.9%	2.9%	7.0M	-1.21B	-5.4M	0.36	46.83	N/A	N/A	99,070	35,480	509,060	442,540
2021-01-12	$80.84	$80.50	65.3%	18.6%	57.6%	29.7%	63.8%	2.0%	-1.6%	21.6M	-1.63B	-5.6M	0.17	47.40	N/A	N/A	211,150	35,150	533,910	462,740
2021-01-13	$79.11	$80.50	61.5%	18.1%	57.8%	24.9%	62.5%	-0.1%	1.6%	11.3M	-1.33B	-5.4M	0.38	51.54	N/A	N/A	98,760	37,490	550,770	474,160
2021-01-14	$78.13	$80.00	59.9%	17.6%	57.5%	22.9%	60.5%	5.3%	1.4%	-221.3K	-1.16B	-5.3M	0.47	52.56	N/A	N/A	98,560	45,980	563,090	479,840
2021-01-15	$78.38	$80.00	59.4%	17.4%	57.3%	22.2%	59.8%	4.1%	1.6%	3.1M	-1.15B	-5.3M	0.80	53.02	N/A	N/A	58,020	46,570	564,150	491,650
2021-01-19	$77.97	$80.00	61.9%	18.1%	57.1%	25.3%	62.4%	3.9%	4.4%	9.3M	-428.6M	-5.1M	0.76	58.32	N/A	N/A	54,960	41,510	335,380	289,290
2021-01-20	$81.21	$79.00	64.4%	18.5%	59.6%	26.0%	62.3%	8.3%	2.8%	24.1M	-833.6M	-5.4M	0.26	56.14	N/A	N/A	159,630	41,940	357,890	313,260
2021-01-21	$81.54	$79.50	67.1%	19.4%	59.6%	29.5%	66.7%	3.5%	-3.2%	46.6M	-1.05B	-5.7M	0.25	51.46	N/A	N/A	199,910	50,410	411,800	326,760
2021-01-22	$81.35	$79.50	66.1%	18.8%	57.3%	24.8%	65.5%	4.5%	1.3%	35.0M	-987.8M	-5.8M	0.76	52.19	N/A	N/A	78,030	59,230	460,100	345,430
2021-01-25	$78.58	$80.00	71.1%	20.0%	57.0%	31.6%	70.0%	8.7%	-2.8%	12.0M	-543.9M	-5.7M	0.85	52.28	N/A	N/A	78,950	67,070	394,710	322,550
2021-01-26	$77.56	$80.00	72.5%	20.6%	57.0%	33.6%	71.1%	5.3%	-2.2%	506.9K	-379.8M	-5.8M	0.96	51.71	N/A	N/A	37,400	36,060	415,100	364,180
2021-01-27	$75.74	$80.00	75.2%	21.5%	43.8%	37.2%	75.1%	9.0%	-4.6%	-8.7M	-115.9M	-5.8M	0.34	53.74	N/A	N/A	101,360	34,950	422,660	378,560
2021-01-28	$80.20	$79.00	70.1%	20.8%	48.7%	30.3%	73.0%	6.8%	-4.0%	15.1M	-786.9M	-6.0M	0.29	61.56	N/A	N/A	93,810	27,370	436,950	388,380
2021-01-29	$76.70	$79.00	74.5%	21.6%	51.1%	36.3%	76.6%	8.3%	-4.0%	-13.7M	-268.9M	-5.8M	0.81	55.00	N/A	N/A	58,240	46,930	454,710	395,190